Boston Partners Correlations

BPSCX Fund

USD 25.57 0.02 0.08%

The current 90-days correlation between Boston Partners Small and Henderson European Focus is 0.29 (i.e., Modest diversification). The correlation of Boston Partners is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak. If the correlation is 0, the equities are not correlated; they are entirely random.

Boston Partners Correlation With Market

Almost no diversification

The correlation between Boston Partners Small and DJI is 0.91 (i.e., Almost no diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Boston Partners Small and DJI in the same portfolio, assuming nothing else is changed.

Check out Trending Equities to better understand how to build diversified portfolios, which includes a position in Boston Partners Small. Also, note that the market value of any mutual fund could be closely tied with the direction of predictive economic indicators such as signals in services.

Moving together with Boston Mutual Fund

0.94	OPTCX	Rbb Fund	Pair Corr
0.99	BPAVX	Boston Partners All	Pair Corr
0.99	BPAIX	Boston Partners All	Pair Corr
0.99	WPGTX	Wpg Partners Smallmicro	Pair Corr
0.94	WPGSX	Rbb Fund	Pair Corr
0.98	BPGIX	Boston Partners Global	Pair Corr
0.99	BPIRX	Boston Partners Longshort	Pair Corr
0.79	BPLEX	Boston Partners Longshort	Pair Corr
0.98	BPLSX	Boston Partners Longshort	Pair Corr
0.93	BPRRX	Boston Partners Longshort	Pair Corr
0.96	BPSIX	Boston Partners Small	Pair Corr
0.92	VSIIX	Vanguard Small Cap	Pair Corr
0.92	VISVX	Vanguard Small Cap	Pair Corr
0.89	DFSVX	Us Small Cap	Pair Corr
0.91	DFFVX	Us Targeted Value	Pair Corr
0.93	VSMCX	Invesco Small Cap	Pair Corr
0.94	VSCAX	Invesco Small Cap	Pair Corr
0.99	UBVCX	Undiscovered Managers	Pair Corr
0.99	UBVAX	Undiscovered Managers	Pair Corr
0.71	PDI	Pimco Dynamic Income	Pair Corr
0.89	PDAQX	Pgim Target Date	Pair Corr
0.97	JMVAX	Perkins Mid Cap	Pair Corr
0.76	PGGYX	Putnam Global Incm	Pair Corr
0.81	SMITX	Invesco Summit	Pair Corr
0.91	PFPWX	Parnassus Endeavor	Pair Corr
0.88	SWYOX	Schwab Target 2065	Pair Corr
0.83	ANDIX	Aqr International	Pair Corr
0.76	VFIAX	Vanguard 500 Index	Pair Corr
0.8	PAIOX	Pgim Jennison Intern	Pair Corr

Moving against Boston Mutual Fund

0.65	BELSX	Boston Partners Emerging	Pair Corr
0.93	TCTGX	Transamerica Cleartrack	Pair Corr
0.93	TCTJX	Transamerica Cleartrack	Pair Corr
0.92	TDKTX	Cleartrack 2015 Class	Pair Corr
0.92	UIPIX	Ultrashort Mid Cap	Pair Corr
0.88	TCSUX	Cleartrack 2020 Class	Pair Corr
0.71	CESGX	Coho Relative Value	Pair Corr

Related Correlations Analysis

	BPSIX	EGORX	WFLLX	HFETX	MIMSX	AFVLX	PCKAX	PSCSX	GWEIX	HFEIX
BPSIX		0.89	0.89	0.92	-0.79	0.95	0.98	0.98	0.95	0.92	BPSIX
EGORX	0.89		0.89	0.93	-0.93	0.85	0.85	0.85	0.95	0.93	EGORX
WFLLX	0.89	0.89		0.88	-0.86	0.8	0.86	0.86	0.93	0.88	WFLLX
HFETX	0.92	0.93	0.88		-0.84	0.9	0.91	0.91	0.93	1.0	HFETX
MIMSX	-0.79	-0.93	-0.86	-0.84		-0.69	-0.71	-0.71	-0.92	-0.84	MIMSX
AFVLX	0.95	0.85	0.8	0.9	-0.69		0.95	0.95	0.88	0.9	AFVLX
PCKAX	0.98	0.85	0.86	0.91	-0.71	0.95		1.0	0.92	0.91	PCKAX
PSCSX	0.98	0.85	0.86	0.91	-0.71	0.95	1.0		0.92	0.91	PSCSX
GWEIX	0.95	0.95	0.93	0.93	-0.92	0.88	0.92	0.92		0.93	GWEIX
HFEIX	0.92	0.93	0.88	1.0	-0.84	0.9	0.91	0.91	0.93		HFEIX
	BPSIX	EGORX	WFLLX	HFETX	MIMSX	AFVLX	PCKAX	PSCSX	GWEIX	HFEIX

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

HFEIX	+ 1.0	HFETX
PSCSX	+ 1.0	PCKAX
PCKAX	+ 0.98	BPSIX
PSCSX	+ 0.98	BPSIX
AFVLX	+ 0.95	BPSIX
GWEIX	+ 0.95	BPSIX

High negative correlations

MIMSX	- 0.93	EGORX
GWEIX	- 0.92	MIMSX
MIMSX	- 0.86	WFLLX
HFEIX	- 0.84	MIMSX
MIMSX	- 0.84	HFETX
MIMSX	- 0.79	BPSIX

Risk-Adjusted Indicators

There is a big difference between Boston Mutual Fund performing well and Boston Partners Mutual Fund doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Boston Partners' multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
BPSIX	0.77	0.08	0.09	0.14	0.65	(0.86)	2.38	(1.35)	4.29
EGORX	0.76	0.08	0.08	0.16	0.73	(0.90)	1.31	(1.73)	9.88
WFLLX	0.37	0.08	0.03	(0.76)	0.21	(0.62)	0.96	(0.70)	2.56
HFETX	0.65	0.03	0.02	0.11	0.76	(0.69)	1.66	(1.48)	4.08
MIMSX	2.69	(1.41)	0.00	(0.52)	0.00	0.00	1.68	(1.63)	90.44
AFVLX	0.64	(0.01)	(0.01)	0.05	0.79	(0.67)	1.41	(1.42)	4.28
PCKAX	0.94	0.05	0.05	0.10	0.99	(1.08)	2.14	(1.85)	5.53
PSCSX	0.95	0.05	0.05	0.11	1.02	(1.06)	2.13	(1.87)	5.56
GWEIX	0.91	0.18	0.17	0.26	0.72	(1.05)	2.24	(1.76)	9.45
HFEIX	0.65	0.04	0.02	0.11	0.76	(0.69)	1.65	(1.46)	4.08

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